This paper investigates various output gap measures in a simple inflation forecasting framework. Reflecting the … pressures, including a gap could improve the accuracy of autoregressive inflation forecasting. This assertion is tested in a …

This paper develops an approach for forecasting in Thailand core inflation. The key innovation is to anchor the … projections derived from the short-term time-series properties of core inflation to its longer-run evolution. This involves … goodness-of-fit criteria, with an equilibrium-correction model that pins down the convergence of core inflation to its longer …

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs …). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman … issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction …

Intuitively core inflation is understood as a measure of inflation where noisy price movements are avoided. This is … show high persistence, and one certainly does not want to disregard persistent price changes. The non-equivalence between … volatility and (the lack of) persistence implies that when one excludes volatile items relevant information is likely to be …